Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0836
Annualized Std Dev 0.2165
Annualized Sharpe (Rf=0%) 0.3860

Row

Daily Return Statistics

Close
Observations 3617.0000
NAs 1.0000
Minimum -0.1219
Quartile 1 -0.0051
Median 0.0008
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0067
Maximum 0.1130
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0009
Variance 0.0002
Stdev 0.0136
Skewness -0.5110
Kurtosis 9.9626

Downside Risk

Close
Semi Deviation 0.0101
Gain Deviation 0.0094
Loss Deviation 0.0112
Downside Deviation (MAR=210%) 0.0145
Downside Deviation (Rf=0%) 0.0099
Downside Deviation (0%) 0.0099
Maximum Drawdown 0.6197
Historical VaR (95%) -0.0209
Historical ES (95%) -0.0339
Modified VaR (95%) -0.0212
Modified ES (95%) -0.0430
From Trough To Depth Length To Trough Recovery
2007-07-11 2009-03-09 2013-01-25 -0.6197 1389 412 977
2020-01-21 2020-03-18 2020-08-07 -0.3565 140 41 99
2018-09-21 2018-12-24 2019-07-10 -0.2143 200 65 135
2015-06-24 2016-02-11 2017-02-21 -0.1807 418 161 257
2014-07-07 2014-10-13 2014-11-25 -0.1081 101 70 31

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA NA NA 0.2 -0.3 -0.4 0.2 -0.3
2007 0.8 -1.2 0.1 -0.3 0.3 -0.2 -0.9 2 1.8 -1.5 0.3 -0.3 0.8
2008 1.3 -3.2 3.2 0 1 -1 -1.7 -0.7 -0.8 2.8 -7.6 1.8 -5.2
2009 -2.3 -0.1 3.4 -0.1 3.9 0.5 1.1 -2.2 -2.8 -2.4 2.1 -0.4 0.3
2010 1.2 1 0.7 -1.6 -1.5 0.1 0.8 3.6 0.1 -0.7 2.6 0 6.4
2011 1.4 -1.5 0.5 -0.1 -1.5 1.3 -0.3 -1.2 -2.6 -2.4 0.1 0.5 -5.8
2012 0.9 0.9 0.9 0.6 -3 2.4 -0.5 0.1 0.1 1.3 0.4 1.7 5.8
2013 0.9 0.2 -1 -0.9 -1.5 0.9 1.8 -1.4 0.8 -0.1 0.1 0.2 -0.1
2014 -1.5 0.4 1.1 0.3 0.4 1.1 -0.3 -0.1 -1.2 1.7 -0.2 -0.8 0.8
2015 -1.4 0 -0.2 1 0.2 0.9 0.6 -2.8 0.5 0.1 1.1 -1.2 -1.2
2016 0.4 2.6 -0.3 -0.5 -0.1 1 -0.2 0.4 0.6 -1 -0.5 -0.5 2
2017 -0.1 1.4 -0.1 0.3 0.8 0.6 0.3 0.4 0.5 0.2 -0.1 -0.3 3.8
2018 -0.5 -1.4 1.5 0 0.7 0.5 -0.7 0 0.1 1.9 -0.1 1 2.8
2019 -1.4 0.7 1.4 -1.1 -1.5 0.7 -1 -0.2 -0.9 0.6 -0.9 0.2 -3.3
2020 -0.9 -0.4 -4.6 -3.2 1.5 0.4 -1.1 1 0.9 -1.3 1.5 0.3 -5.8
2021 2.1 2.3 0.3 NA NA NA NA NA NA NA NA NA 4.8

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart